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seminario di Luca Regis presso Prometeia - Bologna
by Giacomo Scandolo 09 Jun '14

09 Jun '14

Il giorno Giovedì 29 Maggio 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna Luca REGIS (IMT Lucca) terrà un seminario dal titolo "Longevity risk modelling and hedging via continuous-time cohort models" Abstract Longevity risk, i.e. the risk of unexpected changes in the survivorship of policyholders, is perceived as one of the major threats to the long-run solvency of annuity providers, such as pension funds. Continuous-time models represent a useful tool in the modelling of stochastic mortality. Non-mean reverting affine cohort processes (Luciano and Vigna, 2008) provide a parsimonious but accurate description of mortality tables. They are particularly suited to pricing and hedging purposes, due to their analytical tractability. I present applications of such models to the management of insurance portfolios. I focus on longevity risk hedging techniques, such as natural hedging, and reinsurance strategies. I will discuss the implementation and the effectiveness of such strategies, as well as the effects of different risk sources (interest-rate risk, investment risk) - along with longevity risk - on the solvency of insurers.

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seminario prof Zhuang Jiancang (ISM, Tokyo)
by Elisa Varini 05 Jun '14

05 Jun '14

ANNUNCIO DI SEMINARIO venerdì 13 giugno 2014, ore 14:30 Sala Bassini (piano terra) CNR – IMATI, Via Bassini 15, Milano RELATORE Dr ZHUANG Jiancang Institute of Statistical Mathematics, Tokyo TITOLO Testing significance of earthquake precursors against earthquake clustering models instead of against complete randomness ABSTRACT During the last 30 years, a number of algorithms have been developed that search for seismic anomalies in order to predict strong earthquakes. Examples of such algorithms are M8, RTP, RTL, PI, and LURR. In these algorithms, behaviour is usually deemed to be anomalous if seismicity rates change from the background activity, which is usually assumed stationary or, more strongly, a Poisson process. On the other hand, it is well known that seismicity is clustered and can be well described by the Epidemic-Type Aftershock Sequence (ETAS) model. Such anomalies detected in these conventional ways may be caused by earthquake clusters or improper declustering algorithms. This presentation illustrates, through examples, how to modify these algorithms for the testing of seismic anomalies against a clustering model (e.g., the ETAS model). -- ------------------------------------------------------------------- Elisa Varini CNR - Consiglio Nazionale delle Ricerche IMATI - Istituto di Matematica Applicata e Tecnologie Informatiche via Bassini 15 - 20133 Milano (Italy) Tel +39 02 23699 527 Fax +39 02 23699 538 Email elisa(a)mi.imati.cnr.it -------------------------------------------------------------------

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Seminario di Fabrizio Leisen a RM1
by Fabio Spizzichino 03 Jun '14

03 Jun '14

ll Prof. Fabrizio Leisen (Univ. of Kent, Canterbury, UK) terrà, presso il Dipartimento di Matematica dell'Universita' La Sapienza, un seminario dal titolo Dependent Vectors of Random Probability Measures Mercoledi' 4 giugno, Ore 14:30, Aula E Le persone interessate sono invitate a partecipare Abstract: The definition of vectors of dependent random probability measures is a topic of interest in applications to Bayesian statistics. Indeed, they can be used for identifying the de Finetti mixing measure in the representation of the law of a partially exchangeable array of random elements taking values in a separable and complete metric space. In this talk we describe the construction of vectors of random probability measures based on the normalization of an exchangeable vector of completely random measures that are jointly infinitely divisible. The dependence can be achieved in many ways and in this talk will be shown some recent constructions based on Levy Copulas or the stick breaking representation. Finally, the dependence structure of the vectors is studied through some quantities of interest. This talk is a review of papers in collaboration with Antonio Lijoi, Federico Bassetti, Roberto Casarin, Weixuan Zhu and Dario Spano.

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[Fwd: 10 PhD positions in Math at GSSI L'Aquila Italy]
by davide gabrielli 03 Jun '14

03 Jun '14

---------------------------- Original Message ---------------------------- Subject: 10 PhD positions in Math at GSSI L'Aquila Italy From: "Pierangelo Marcati" <pierangelo.marcati(a)univaq.it> Date: Tue, June 3, 2014 3:24 am To: undisclosed-recipients:; -------------------------------------------------------------------------- *DO NOT REPLY* *For further informations *please contact info(a)gssi.infn.it *PLEASE DIFFUSE BETWEEN INTERESTED PEOPLE* *WE APOLOGIZE FOR MULTIPLE E-MAILS* *10 *fellowships at GSSI L'AQUILA Italy, for the PhD program of Mathematics in Natural, Social and Life Sciences *( in collaboration with SISSA International School for Advanced Studies, Trieste)* Core Topics: Stochastic Analysis, PDEs, Mathematical Modelling, Numerics *Online applications * http://www.gssi.infn.it/phd/ *Deadline June 22, 2014* *Download the* *call for applications* at http://www.gssi.infn.it/phd/docs/call_english_14-15.pdf *S*cholarships GSSI awards scholarships for* 3 years. * The yearly amount of the scholarship is of EURO 16.159,91 gross Facilities and benefits All PhD students *will receive free* accommodation on GSSI facilities, tuition fees waived, free luncheon vo * Pierangelo Marcati * Mathematics & Computer Science Division, Chair GranSasso Science Institute, INFN - L'Aquila - Italy http://www.gssi.infn.it http://www.gssi-aq.eu -- This message has been scanned for viruses and dangerous content by MailScanner, and is believed to be clean.

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LAST CALL : IHP TRIMESTER : Disordered systems, random spatial processes and some applications/ Systèmes désordonnés, processus spatiaux aléatoires et certaines applications
by Cristian Giardina 31 May '14

31 May '14

---------- Forwarded message ---------- From: random15 <random15(a)ihp.fr> Date: 2014-05-30 10:23 GMT+02:00 Subject: LAST CALL : IHP TRIMESTER : Disordered systems, random spatial processes and some applications/ Systèmes désordonnés, processus spatiaux aléatoires et certaines applications Dear Colleague, It is our pleasure to announce a programme on "Disordered systems, random spatial processes and some applications" organized by the Emile Borel Centre from the Henri Poincare Institute in Paris from January 5th to April 3rd, 2015. Organizers: J-P. Bouchaud, P. Contucci, C. Giardina, P. Nolin, V. Sidoravicius, V. Vargas * Deadline to apply for Random15 programme financial support has been postponed to June 10th, 2014* Information on the programme can be found on: www.ihp.fr/en/CEB/T1-2015 or * <http://random15.dm.unibo.it/>*http://random15.dm.unibo.it/schedule *Registration is free and recommended* *to participate to:* - the trimester + workshops on: www.ihp.fr/en/program/13698/colloques/register - workshop(s) only on: www.ihp.fr/en/program/13698/colloques/register/nosignupprogram During this trimester, a preschool is organized at the* CIRM* (Marseille) from January 5th to 9th, 2015: If you intend to participate in this event, it will be necessary to make a pre registration through the workshops session. We are looking forward to welcoming you! PS: do not hesitate to forward this email to your colleagues. **************************************************** Cher Collegue, Nous avons le plaisir de vous annoncer l organisation d un programme sur les " Systemes desordonnes, processus spatiaux aleatoires et certaines applications" au Centre Emile Borel de l Institut Henri Poincare a Paris, du 5 janvier au 3 avril 2015. Les organisateurs: J-P. Bouchaud, P. Contucci, C. Giardina, P. Nolin, V. Sidoravicius, V. Vargas Attention : * La date limite pour les demandes de support financier du programme Random15 est repoussee au 10 juin 2014* Vous pouvez consulter le programme a l adresse suivante: www.ihp.fr/fr/CEB/T1-2015 ou directement a cette adresse: * <http://random15.dm.unibo.it/>*http://random15.dm.unibo.it/schedule *L inscription au programme est gratuite et recommandee **sur l adresse suivante:* - pour le trimestre + conferences: www.ihp.fr/fr/program/13698/colloques/register - ou uniquement pour le/les conferences: www.ihp.fr/fr/program/13698/colloques/register/nosignupprogram Durant ce trimestre, une pre ecole est organisee au *CIRM* (Marseille) du 5 au 9 janvier 2015 Si vous avez l'intention de participer a ce programme en particulier une pre inscription est necessaire via les inscriptions aux conferences C est avec plaisir que nous vous accueillerons a Paris. PS: merci par avance de bien vouloir transmettre ce courriel a vos collegues. -- Claire Berenger Organisation Assistant random15(a)ihp.fr CNRS UPMC - Institut Henri Poincare Centre Emile Borel 11, rue Pierre et Marie Curie - 75005 Paris Bureau 206 Tel: 01 44 27 67 64 Fax: 01 44 07 09 37www.ihp.fr Decouvrez la chaine de l'institut Henri Poincare<http://www.youtube.com/user/PoincareInstitute> <http://www.youtube.com/user/PoincareInstitute>.

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Seminario Claudio Fontana a Padova
by Tiziano Vargiolu 29 May '14

29 May '14

Siamo lieti di annunciare il seguente seminario: Claudio FONTANA, "A general HJM framework for multiple curve modeling" (joint work with Christa Cuchiero and Alessandro Gnoatto) al Dipartimento di Matematica (via Trieste 63, Padova), aula 2AB/40 (secondo piano), venerdi' 29 maggio ore 12. Abstract -------- We propose a general HJM approach to the modeling of multiple yield curves. In a general semimartingale setting, we model the term structure of multiplicative spreads between (normalized) FRA rates and simply compounded OIS risk-free forward rates. We derive HJM drift and consistency conditions ensuring absence of arbitrage and we show how to construct models such that spreads are greater than one and ordered with respect to the tenor's length. When the driving semimartingale is an affine process, we obtain a flexible Markovian structure which allows for simple valuation formulas for most interest rate derivatives.

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Postdoc on "Systemic risk in financial markets across time scales” at the Scuola Normale di Pisa
by Fabrizio Lillo 27 May '14

27 May '14

A call for a one-year postdoc is open at the Scuola Normale Superiore di Pisa (Italy). The topic of the research is "Systemic risk in financial markets across time scales” and it is funded by the Scuola Normale. The details of the call are at http://www.sns.it/en/servizi/job/assegnidiricerca/assegno215/ The deadline is June 12. I would be grateful if you could forward this message to any potentially interested candidate. The interested candidates can either contact me (fabrizio.lillo(a)sns.it) or the addresses in the call in case they need further information. Thanks and all the best, Fabrizio Lillo ------------------------------------------------------------ Fabrizio Lillo Scuola Normale Superiore di Pisa, Dipartimento di Fisica, Universita' di Palermo & Santa Fe Institute, U.S.A. Piazza dei Cavalieri 7 56126 Pisa ITALY phone: +39 050509159 web: https://sites.google.com/site/fabriziolillo9670/home

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I: [tout-enseignants] Appel à candidature post-doctorat université de Cergy
by Massimo Campanino 26 May '14

26 May '14

__________ > ---------------------------------------- > From: Laurence Puechberty <laurence.puechberty(a)u-cergy.fr> > Sent: Mon, 5 May 2014 08:56:38 +0200 (CEST) > To: <tout-enseignants(a)ml.u-cergy.fr> > Cc: SERFATY Stéphane <Stephane.Serfaty(a)u-cergy.fr>, Présidence UCP <presidence(a)u-cergy.fr>, Frédéric Oliveau <frederic.oliveau(a)u-cergy.fr>, Bernard Fradin <Bernard.Fradin(a)u-cergy.fr>, Edite De Almeida <Edite.DaRochaDeAlmeida(a)u-cergy.fr> > Subject: [tout-enseignants] Appel à candidature post-doctorat université de Cergy > > > Chers Collègues, > > Vous trouverez ci-joint l'appel à candidature pour les post-doctorats de > l'université de Cergy pour 2014. > La date limite de retour des dossiers est fixée au mercredi 11 juin 2014 > à 12h à la DiRVED. > Pour toute question, n'hésitez pas à contacter Laurence Puechberty ou > moi-même. > Bien cordialement > > Stéphane Serfaty > Vice-Président Recherche Valorisation > ------------ > > *//* > > *Laurence PUECHBERTY -- *Directrice DiRVED** > > *Université de CERGY-PONTOISE*- Direction Recherche, Valorisation, > Etudes Doctorales > > Site des chênes - Jardin Tropical -- Bureau C 107 > > 33 boulevard du Port- 95011 Cergy-Pontoise cedex > laurence.puechberty(a)u-cergy.fr <mailto:laurence.puechberty@u-cergy.fr> > > Tel : 01 34 25 72 68Port : 06 78 85 37 95 > > */Pensez à l'environnement. N'imprimez ce courriel que si nécessaire./* > > > -- UniversitÃ© de Cergy-Pontoise http://www.u-cergy.fr Ce message et toutes les piÃ¨ces jointes sont confidentiels et Ã©tablis Ã l'intention exclusive de ses destinataires. Si vous recevez ce message par erreur, merci de le dÃ©truire sans en conserver de copie et d'en avertir l'Ã©metteur. L'intÃ©gritÃ© de ce message n'Ã©tant pas assurÃ©e sur internet, l'UniversitÃ© ne peut Ãªtre tenue responsable de son contenu. Toute utilisation ou diffusion non autorisÃ©e est interdite. Ensemble, faisons un geste pour l'environnement : n'imprimons nos mails que si nÃ©cessaire.

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de Finetti risk seminar - maggio 2014
by emanuela.rosazza1＠unimib.it 23 May '14

23 May '14

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Fwd: Corso di Monique Jeanblanc e Nicole El Karoui a Padova (Maggio 2014). (fwd)
by Tiziano Vargiolu 23 May '14

23 May '14

Ciao a tutti, scusandomi per il ritardo, vi segnalo un corso di dottorato tenuto in due parti (di contenuto disgiunto) da Nicole El Karoui e Monique Jeanblanc a Padova. La prima lezione della prof. Jeanblanc e' gia' stata tenuta, mentre il corso della prof. El Karoui inizia lunedi' pomeriggio. In allegato il programma con l'orario preciso (ovviamente l'esame e' previsto solo per i dottorandi di Padova). Cordiali saluti a tutti Tiziano -------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu(a)math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu --------------------------------------------------------------------------

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